THE SYNERGIC INTERPLAY BETWEEN ENTROPY, PREDICTABILITY, AND INFORMATIONAL EFFICIENCY OF THE SHANGHAI SECTORAL INDEX-Reference-Cited by-同舟云学术

THE SYNERGIC INTERPLAY BETWEEN ENTROPY, PREDICTABILITY, AND INFORMATIONAL EFFICIENCY OF THE SHANGHAI SECTORAL INDEX

Published:2023-01 Issue:09 Volume:31 Page:
ISSN:0218-348X
Container-title:Fractals
language:en
Short-container-title:Fractals

Author:

FERNANDES LEONARDO H. S.¹^ORCID,DE ARAUJO FERNANDO H. A.²^ORCID,SILVA JOSÉ W. L.³^ORCID,FILHO MARCO C. M.²^ORCID,TABAK BENJAMIN M.⁴^ORCID

Affiliation:

1. Department of Economics and Informatics, Federal Rural University of Pernambuco, Serra Talhada, PE 56909-535, Brazil

2. Federal Institute of Education, Science and Technology of Paraíba, Campus Patos PB. Acesso Rodovia PB 110, S/N Alto Tubiba – CEP: 58700-030, PB, Patos, Brazil

3. Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manuel de Medeiros, S/N Dois Irmãos – CEP: 52171-900, PE, Recife, Brazil

4. School of Public Policy and Government, Getulio Vargas Foundation, Brasilia, DF, Brazil

Abstract

We explore the synergic interplay between entropy (disorder), predictability, and informational efficiency of the daily closing price time series of 13 sectoral economics components of the Shanghai index letter considering three non-overlapping periods (before and during COVID-19 and Russia–Ukraine war). Our findings reveal that the telecom services, financials, and consumer discretionary sectors are marked by higher informational efficiency. Otherwise, the industrials, utilities, and transportation sectors exhibit lower informational efficiency. These insights are relevant for financial agents to make informed decisions, manage risk, and seek opportunities in an ever-changing market environment.

Funder

the CNPq foundation

Publisher

World Scientific Pub Co Pte Ltd

Subject

Applied Mathematics,Geometry and Topology,Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218348X23501219

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